When Loyal Cathar dies, it will return to the battlefield with its back face (Unhallowed Cathar) up. It doesn’t return to the battlefield and then transform.

1/22/2011

Another double-faced card that becomes a copy of Loyal Cathar and then dies will return to the battlefield with its back face up.

1/22/2011

If you gain control of a Loyal Cathar owned by another player and it dies, it will be put into to its owner’s graveyard and then return to the battlefield under your control.

4/8/2016

If a card that isn’t a double-faced card becomes a copy of Loyal Cathar (due to Cytoshape, for example) and then dies, that card won’t return to the battlefield. It will remain in its owner’s graveyard.

7/13/2016

For more information on double-faced cards, see the Shadows over Innistrad mechanics article (http://magic.wizards.com/en/articles/archive/feature/shadows-over-innistrad-mechanics).